Stocks Limp Higher As ES Volume Is Dismal

It seems everyone has positioned for what is to come as today was blah. The volume on the NYSE was decent which is expected given the OPEX but trading in the e-mini S&P futures contract (ES) was dismal - lower even than the 2/6 and 2/13 low levels at what looks like the lowest non-holiday trading day since 2006. A very narrow range day (basically from last night's day session close) with a small pop this morning around the day session open saw the highs of the day but ES tried to inch back up there in the afternoon - as credit (IG, HY, and HYG) went sideways from after the European close. Financial and Discretionary stocks outperformed as XLF made new recent highs (while credit spreads remain near 5 week wides). VIX futures tracked stocks for the most part (with a slight push higher into the close) but implied correlation diverged (bearishly) higher. FX markets were relatively calm with in EURUSD with AUD and JPY (-2.5% on the week) weakness the main drivers of USD strength off European session lows - but USD ended the day practically unch (+0.5% on the week). The USD strength dragged Silver down over 1% on the week and Copper down 3.8% (biggest loser today) while Gold outperformed the USD and ended green on the week above $1720. Oil was the winner up almost 5% on the week - its biggest gain of the year - ending above $103.5 for WTI. Treasuries came back off their high yields of the day after Europe closed with a little more push into the close leaving 30Y unch for the week and the short-end +3-4bps.


Credit did nothing all afternoon (post Europe's close) while stocks limped quietly higher on ever decreasing average trade size...

...but implied correlation bucked the risk-on trade as despite a falling VIX (which limped along with stocks on this OPEX-ridden day), saw macro protection in more demand than micro. This has tended to be a tell for short-term reversals in trend (not the earth-shattering changes that credit and financials are signalling).

Treasuries reverted back to around unch with a slight flattening on the week.

FX (like credit) was very calm today except for AUD and JPY weakness.

WTI outperformed Brent today after they tracked one another relatively well all week.

Charts: Bloomberg


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